DM-test : saving the asymptotic variance

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KarinL
Posts: 25
Joined: Thu Feb 03, 2011 8:45 am

DM-test : saving the asymptotic variance

Postby KarinL » Sun Jun 12, 2011 10:12 am

Hello. I'm using Eviews7.

I want to calculate the Diebold Mariano test to evaluate forecasting performances.

To calculate the test statistic, I need an estimate of the asymptotic variance of the loss differential series. I though I could just use the .lvar from my series object.
However, I didn't figure out how to save it to a scalar or similar so that I can do further calculations with it.

Any help would be very much appreciated!

EViews Glenn
EViews Developer
Posts: 2620
Joined: Wed Oct 15, 2008 9:17 am

Re: DM-test : saving the asymptotic variance

Postby EViews Glenn » Mon Jun 13, 2011 9:25 am

In the dialog there is a box labeled output, where you can provide the name of an object into which we'll save the result. In the command form, you provide the option out=


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